start_date:2006-01-01 / end_date:2022-12-31
| mom12x3 | turnover3M | comb_mom12x3_to3M | |
|---|---|---|---|
| ic.mean | -0.0000 | -0.0430 | 0.0327 |
| ic.t-stats | -0.0039 | -4.3850 | 3.7827 |
| AnnRet_Long | -0.0063 | -0.1393 | 0.0380 |
| AnnRet_short | -0.0228 | 0.1018 | -0.1401 |
| AnnRet | 0.0165 | -0.2411 | 0.1781 |
| SR_Long | -0.0523 | -1.2448 | 0.2935 |
| SR_Short | -0.2415 | 0.5594 | -1.3748 |
| SR | 0.0874 | -0.9043 | 0.8916 |
| TO_Long | 0.3168 | 0.2486 | 0.3129 |
| TO_Short | 0.3740 | 0.1830 | 0.3266 |
start_date:2006-01-01 / end_date:2022-12-31
| mom12x3_GN | turnover3M_GN | comb_mom12x3_to3M_GN | |
|---|---|---|---|
| ic.mean | -0.0051 | -0.0451 | 0.0301 |
| ic.t-stats | -0.7307 | -5.3204 | 3.9020 |
| AnnRet_Long | -0.0084 | -0.1399 | 0.0345 |
| AnnRet_short | 0.0143 | 0.1229 | -0.1192 |
| AnnRet | -0.0226 | -0.2628 | 0.1537 |
| SR_Long | -0.0756 | -1.3440 | 0.2843 |
| SR_Short | 0.1848 | 0.8092 | -1.2695 |
| SR | -0.1426 | -1.1678 | 0.8513 |
| TO_Long | 0.3175 | 0.2516 | 0.3107 |
| TO_Short | 0.3711 | 0.2231 | 0.3265 |
start_date:2006-01-01 / end_date:2022-12-31
| mom12x3_GN | turnover3M_GN | comb_mom12x3_to3M_GN | |
|---|---|---|---|
| ic.mean | 0.0142 | -0.0485 | 0.0470 |
| ic.t-stats | 1.6582 | -4.5033 | 4.9223 |
| AnnRet_Long | 0.0236 | -0.1520 | 0.0840 |
| AnnRet_short | -0.0519 | 0.0554 | -0.1386 |
| AnnRet | 0.0755 | -0.2073 | 0.2226 |
| SR_Long | 0.2035 | -1.1593 | 0.6847 |
| SR_Short | -0.6370 | 0.4635 | -1.1501 |
| SR | 0.4473 | -0.9280 | 1.1069 |
| TO_Long | 0.3785 | 0.3384 | 0.3755 |
| TO_Short | 0.4694 | 0.2553 | 0.4314 |
收益曲线和表格指标，均是针对超额收益，benchmark用的是equal weighted
note1: 分10组的group-8 group-9的换手率分别为0.63，0.37，SR分别为0.72、0.68